Install MinGW

(where xxx is the top-level path you want to use, I use Nicola/GNUstep so I install it into C:\Nicola\GNUstep\msys\1.0\mingw)

Install msys

Download MSYS-1.0.10 or later from the same site. Install it into C:\xxx\msys\1.0
The postinstall script should ask you for the mingw location, then detect it and be happy that it's there and all is setup properly.

Install msys developer toolkit

Download msysDTK-1.0.1 or later from the same site. Install it into C:\xxx\msys\1.0

Now your MSYS/MinGW system should be setup! Go around and make sure you know how to use the Unix-like shell. Log into it and work in it.

Download gnustep

Via subversion

If you have a copy of SVN (http://subversion.tigris.org/) installed on your system and want to have the most up-to-date version just being worked on, do the following.